I’ve done two fresh installs of VS 2005 in the last 9 months. Both times, the “immediate” window wasn’t where it was supposed to be. Normally, you start a project in debug mode, hit a break point, and then in the menu, Debug|Windows, you will see Immediate.
I don’t know why, but twice now, mine’s been gone. You can find out how to open the “Command” — ctrl-alt-A. But that doesn’t have intellisense. To get the to the immediate window if it’s not showing up in your Debug|Window menu, open the “command” window and type immed and press enter.
Or, as Sanjot points, out just press Ctrl-Alt-I. This appears to work as well.